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Analysis of the intraday effects of economic releases on the currency market

Sun, Edward W.; Rezania, Omid; Rachev, Svetlozar T.; … - In: Journal of International Money and Finance 30 (2011) 4, pp. 692-707

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/USD, JPY/USD, and GBP/USD. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility...

Persistent link: https://www.econbiz.de/10009195013

A new wavelet-based denoising algorithm for high-frequency financial data mining

Sun, Edward W.; Meinl, Thomas - In: European Journal of Operational Research 217 (2012) 3, pp. 589-599

Denoising analysis imposes new challenge for mining high-frequency financial data due to its irregularities and roughness. Inefficient decomposition of the systematic pattern (the trend) and noises of high-frequency data will lead to erroneous conclusion as the irregularities and roughness of...

Persistent link: https://www.econbiz.de/10010574206

A nonlinear filtering algorithm based on wavelet transforms for high-frequency financial data analysis

Meinl, Thomas; Sun, Edward W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10010048912

A nonlinear filtering algorithm based on wavelet transforms for high-frequency financial data analysis

Meinl, Thomas; Sun, Edward W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10009656072

Financial transaction tax : policy analytics based on optimal trading

Sun, Edward W.; Kruse, Timm; Yu, Min-Teh - In: Computational economics 46 (2015) 1, pp. 103-141

Persistent link: https://www.econbiz.de/10011441046

Improving model performance with the integrated wavelet denoising method

Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 445-467

Persistent link: https://www.econbiz.de/10011339420

Systemic risk, financial markets, and performance of financial institutions

Lin, Edward M. H.; Sun, Edward W.; Yu, Min-Teh - In: Risk management decisions and wealth management in …, (pp. 579-603). 2018

Persistent link: https://www.econbiz.de/10011871684

Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles

Sun, Edward W.; Wang, Yu-Jen; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 627-652

Persistent link: https://www.econbiz.de/10012053017

Risk assessment with wavelet feature engineering for high-frequency portfolio trading

Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684

Persistent link: https://www.econbiz.de/10012053020

Reconciling business analytics with graphically initialized subspace clustering for optimal nonlinear pricing

Chen, Claire Yi-Ting; Sun, Edward W.; Miao, Wanyu; Lin, … - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1086-1107

Persistent link: https://www.econbiz.de/10014456469